Metody ilościowe w ekonomii i zarządzaniu

1
Zeszyty Naukowe
Wyższej Szkoły Bankowej we Wrocławiu
Nr 20/2011
Metody ilościowe
w ekonomii i zarządzaniu
Pod redakcją naukową
Stefana Forlicza
Wydawnictwo
Wyższej Szkoły Bankowej
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Recenzenci
prof. dr hab. Juliusz Siedlecki
dr hab. Adam Czerwiński prof. nadzw. UO
dr hab. Jerzy Marzec prof. nadzw. UEK
dr hab. Zofia Wilimowska prof. nadzw. PWr
Rada Programowa
prof. dr hab. Maria Cieślak, prof. dr hab. Stefan Forlicz,
prof. dr hab. Marian Noga, prof. dr hab. Piotr Migoń,
prof. dr hab. Danuta Misińska , prof. dr hab. Wanda Ronka-Chmielowiec,
dr hab. Andrzej Bujak prof. nadzw. WSB Wrocław,
dr hab. Barbara Iwankiewicz-Rak prof. nadzw. WSB Wrocław,
dr hab. Andrzej Kaleta prof. nadzw. WSB Wrocław,
dr hab. Andrzej Śmieja prof. nadzw. WSB Wrocław
Redaktor naczelny „Zeszytów Naukowych”
dr hab. Kazimiera Wilk prof. nadzw. WSB Wrocław
Redaktor naukowy
prof. dr hab. Stefan Forlicz
Sekretarz naukowy
dr Adam Hetmańczuk
Redakcja i korekta
Irena Gawron
Projekt okładki
Jan Ślusarski
Kopiowanie i przetwarzanie w jakiejkolwiek formie
wymaga pisemnej zgody Wydawcy
© Copyright by Wydawnictwo Wyższej Szkoły Bankowej w Poznaniu, 2011
ISSN 1643-7772
WYDAWNICTWO
WYŻSZEJ SZKOŁY BANKOWEJ
al. Niepodległości 2, 61-874 Poznań
tel. 61 655 33 99, tel./fax 61 655 33 97
e-mail: [email protected], [email protected]
www.wydawnictwo.wsb.poznan.pl
Skład i łamanie: Włodzimierz Ludwiczak, Poznań
Druk i oprawa: ESUS Druk cyfrowy, Poznań
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Spis treści
Przedmowa (Stefan Forlicz) ....................................................................................
7
Elżbieta Babula
Modelowanie stochastyczne w teorii wyboru w warunkach ryzyka .........................
9
Stanisława Bartosiewicz
Wybór wzorcowych proporcji dla pomiaru zrównoważonego wzrostu społeczno-gospodarczego w Polsce ...........................................................................................
31
Anna Blajer-Gołębiewska
Wykorzystanie stron internetowych jako źródła informacji dla inwestorów .............
45
Anna Błaczkowska
Zmiany w strukturze wydatków polskich gospodarstw domowych na tle krajów UE
w latach 2001-2008 ....................................................................................................
63
Marcin Błażejowski
Symulacyjna ocena testu Dickeya na stacjonarność procesów o wysokiej
częstotliwości obserwowania .....................................................................................
81
Małgorzata Borzyszkowska
Test HEGY dla wybranych zmiennych makroekonomicznych gospodarki Polski
w latach 1996-2009 ....................................................................................................
89
Ewa Czapla
Długookresowe powiązania stóp procentowych w strefie euro, USA i Polsce .......... 105
Mirosław Dytczak, Grzegorz Ginda
Efekt synergii na przykładzie fuzji podmiotów gospodarczych z niemierzalnymi
zasobami ....................................................................................................................
119
Mirosław Dytczak, Grzegorz Ginda, Tomasz Wojtkiewicz
Identyfikacja globalnie optymalnego harmonogramu realizacji złożonych
inwestycji ................................................................................................................... 137
Maria Forlicz
Wpływ inflacji na postrzeganie wartości pieniądza w czasie .................................... 157
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Spis treści
Magdalena Frasyniuk-Pietrzyk
Dominacja stochastyczna w ocenie efektywności OFE ............................................. 165
Alicja Gębczyńska, Andrzej Bujak
Wykorzystanie modelu dojrzałości procesowej w doskonaleniu systemów
zarządzania jakością ................................................................................................... 177
Anna Jędrzychowska
Stopa zwrotu funduszy emerytalnych jako czynnik wpływający na decyzje
o wyborze OFE .......................................................................................................... 189
Zdzisław Kes, Łukasz Kuźmiński
Wykorzystanie kart kontrolnych w budżetowaniu ..................................................... 201
Patrycja Kowalczyk-Rólczyńska
Analiza polskiego rynku kredytów mieszkaniowych ................................................ 221
Paweł Kufel
Porównanie jakości nieliniowych modeli ekonometrycznych na podstawie testów
trafności prognoz ....................................................................................................... 233
Tadeusz Kufel
Ocena efektywności procedury Congruent Specyfication dla małych prób .............. 243
Paweł Kuśmierczyk
Eksperymentalne badanie poziomu cen i efektywności wybranych mechanizmów
aukcyjnych, zastosowanych w przypadku przetargów jednokryterialnych ............... 255
Wiesław Łuczyński
Fraktalna natura procesów gospodarczych ................................................................ 271
Łukasz Mach
Budowa praktycznego modelu regresji opisującego zależności występujące
na rynku nieruchomości mieszkaniowych ................................................................. 291
Katarzyna Maruszewska
Zastosowanie klasycznej i wielowymiarowej analizy korespondencji w badaniu
uwarunkowań emigracji z Polski ............................................................................... 303
Aldona Migała-Warchoł
Ocena przestrzennego zróżnicowania poziomu i jakości życia mieszkańców
województwa podkarpackiego ................................................................................... 325
Piotr Peternek, Marek Kośny
Kilka uwag o testowaniu istotności współczynnika korelacji ................................... 341
Spis treści
5
Zygmunt Przybycin
Zarządzanie ryzykiem projektów inwestycyjnych ..................................................... 351
Jerzy Rembeza, Aneta Kłodzińska
Modelowanie struktury terminowej stóp procentowych ............................................ 363
Tomasz Rólczyński
Próba identyfikacji ryzyka związanego z decyzjami inwestycyjnymi
podejmowanymi przez osoby fizyczne ...................................................................... 375
Zofia Rusnak
Pomiar ubóstwa i wykluczenia społecznego – problemy metodologiczne ................ 387
Jerzy Sacała
Efekt motyla, czyli ostrożnie z obliczeniami za pomocą komputera ......................... 409
Paweł Siarka
Zastosowanie testu serii w procesie wykrywania przypadków wyłudzeń kredytów
bankowych ................................................................................................................. 415
Katarzyna Sokołowska
Analiza wpływu dochodu oraz cech społeczno-demograficznych na zadowolenie
z życia w społeczeństwie polskim ............................................................................. 425
Andrzej Stryjek
Użyteczność kopuli w finansach i ubezpieczeniach .................................................. 441
Agata Strzelczyk
Sposoby pomiaru ilości i wartości informacji ........................................................... 453
Dominika Tomaszewska
Modelowanie ryzyka w portfelach niejednorodnych ................................................. 463
Justyna Zygmunt
Analiza wpływu finansowania zewnętrznego na działalność inwestycyjną
przedsiębiorstw .......................................................................................................... 475
Summaries ................................................................................................................ 487
487
Summaries
Elżbieta Babula
Stochastic Modeling in Theory of Choice under Risk
The fact that neither under experimental conditions, nor in the real world is choice
behavior completely deterministic, has led many researchers to study the properties of stochastic choice functions which specify not a single choice, but the probabilities or frequencies of choosing any of the available alternatives. The paper introduces the genesis and
the development of stochastic modeling in the theory of choice under risk. Three groups
of models are identified: trembles, constant utility and random preference models. The
stochastic transitivity property of described models is considered.
Stanisława Bartosiewicz
The Choice of the Proportions Pattern for Measuring Equitable Socio-economic
Growth in Poland
The article presents the characteristics of the good patterns in order to decide that
the patterns of equitable socio-economic growth must be sought in the „happy societies”
(Denmark, Norway). The case studied was the labour market as an element of socio-economic growth. Variables describing the labour market were chosen and developed and the
situation in Poland was presented against the background of the Danish and Norwegian
proportional growth path.
Anna Blajer-Gołębiewska
The Usage of Companies’ Websites for the Purposes of Investor Relations
The aim of this research was to characterize the usage of companies’ websites as information media in order to improve investor relations. The research was conducted for
the Polish stock listed companies with the application of a classification tree.
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Summaries
The main thesis is that more information relevant to the shareholders is revealed on
the websites of companies with better performance. Moreover, the intensity of the usage
of websites for investor relations purposes varies in the different sectors of industry.
Anna Błaczkowska
Changes in the Structure of Polish Household’s Expenditure Compared
to Other EU Countries in 2001-2008
The aim of this study was to present and evaluate changes in the economic situation
of households in Poland compared to changes in the households of other European Union
countries. The analysis uses Eurostat data - the income and the household expenditure on
individual needs in two periods: 2001-2004 and 2005-2008. The Ward method was used
to identify the countries with a similar structure of income and household expenditure.
This method was also used to separate the countries, in which the processes of consumption happen in a similar way.
The analysis showed that the structure of household expenditure is similar in the examined periods and the changes in classification are unimportant. It is striking that in the
period 2005-2008 in households the percentage of expenditure on food over total expenditure has increased in many countries.
The path of development (pattern), constructed for Polish households compared to households of the EU countries, showed that Polish households in need of “Education” have
the biggest arrears in expenditure, together with „Restaurants and hotels” and „Recreation
and culture” on which expenditure should increase.
At the same time, expenditure to satisfy the needs of „Health”, „Food and nonalcoholic beverages” and „Alcoholic beverages, tobacco and narcotics” should be reduced.
Marcin Błażejowski
Simulational Assessment of Size of the Dickey’s Stationarity Test
of High-Frequency Time Series
The aim of the paper is to assess the size of the stationarity test for high frequency
time series introduced by D.A. Dickey in 2009 verifying null hypothesis that given series
is seasonally integrated (is SId(1)). This test extends usage of standard DHF test for seasonal unit root (Dickey, Hasza, Fuller [1984]) for cycles of frequency d = 5, 6, 7, 21, 24,
26, 31, 48, 52, 168, 365,...
Summaries
489
Małgorzata Borzyszkowska
HEGY Test for Selected Macroeconomic Variables in the Polish Economy
in the Period 1996-2009
This work is a continuation of the research undertaken earlier and includes the results
of the HEGY test for selected macroeconomic variables of the Polish economy in the
period 1996-2009. In the final stage these variables will serve as potential variables for
the building of money demand models for the Polish economy. The aim of the study is to
determine whether the analyzed quarterly data series contain seasonal unit roots at frequencies other than zero (half-yearly or quarterly). As a result of earlier work it was found
that the analyzed series are non-stationary, integrated of the first order (a few tests for unit
root were made). The present analysis showed that all analyzed series did not contain seasonal unit roots with a quarterly frequency, while the seasonal unit root with a half-yearly
frequency contains only LDBR (description of the signs is in a part of 1.3.). The next stage
of the examination, to complement these results, should be cointegration analysis.
Ewa Czapla
Long-run Linkages among Polish, US and Eurocurrency Interest Rates
The main objective for this paper is to study long-run linkages and causal links
between Polish, US and Eurocurrency short-term interest rates. Two main methods are
used: The Johansen cointegration technique and Toda and Yamamoto’s Granger test. The
paper employs the one-, three-, six- and twelve-month interest rates of Poland, US and
Eurocurrency market and tests the weekly versions of these series. The studied period is
01.01.2005 - 30.06.2010. The findings indicate that the Eurocurrency interest rate is the
Granger cause of the Polish interest rate and not vice versa.
Mirosław Dytczak, Grzegorz Ginda
The Synergy Effect in the Economy. Its Application to the Fusion of Enterprises
Including Intangibile Assets
Continuous changes in the surroundings of an enterprise force introduction of changes which are aimed at the introduction of functional improvements. The synergy effect
is thus obtained. It is also advantageous to include intangible resources to fully utilise
the improvement potential of changes. The application of relative linear programming
490
Summaries
for evaluation of the synergy effect in the case of the fusion of enterprises and intangible
resources is discussed in the paper.
Mirosław Dytczak, Grzegorz Ginda, Tomasz Wojtkiewicz
Identification of a Globally Optimal Schedule of Complex Construction Projects
Construction projects are complex due to high costs, the influence of numerous factors, the nature of outcomes, the engagement of different participants and limited resources, the application of multi-mode technological operations and their succession. Careful
preparation of a project course is therefore required. However, locally optimal project
structures are usually applied. An approach leading to the identification of a globally optimal project structure is therefore proposed.
Maria Forlicz
The Influence of Inflation on the Perception of Money Value over Time
In order to check how Polish people perceive inflation in everyday life, a survey
among 129 young people was conducted. On the basis of this research it was deducted
that only 1/4 of people are fully aware of the consequences of the existence of inflation.
At least 14% of subjects perceive the value of money only in nominal terms forgetting its
real value.
Magdalena Frasyniuk-Pietrzyk
Stochastic Dominance in the Evaluation of the Efficiency
of Open Pension Funds
The statutory rate of return used to evaluate the effectiveness of open pension funds
investment published by KNF is a controversial issue. It is an incomplete measure of the
performance, because it ignores risk. Therefore, to evaluate the effectiveness of investment risk-adjusted performance measures derived from the classical portfolio theory are
often used. The paper presents an alternative, non-classical method of portfolio performance – stochastic dominance. This method has been verified on Polish open pension
funds market.
Summaries
491
Alicja Gębczyńska, Andrzej Bujak
Application of the Capability Maturity Model for Improvement of Quality
Management Systems
The notion of a process-based approach has recently become the subject of heated
discussion and numerous scientific conferences, this being a result of increasing interest
in process management and the continuous development of knowledge and experience in
this field.
This article is a discussion on the process-based approach and numerous concepts
which apply to it with a special emphasis put on quality management systems. The authors also introduce and explain the notion of process management, thus moving towards
the problem of process improvement. Another section of the article is devoted to selected
methods which one may apply to process improvement. The paper also includes a detailed
analysis of self-assessment based on the Capability Maturity Model as well as a review
of its advantages as compared with other methods applied for the sake of process improvement.
Anna Jędrzychowska
The Level of Return on Pension Funds as a Decisive Factor in Decisions
about Membership in the OFE
This article attempts to investigate whether members of pension funds in their decisions about membership in the second pillar pension scheme, are driven by rates of return
of the OFE in their decisions.
For this purpose, a study was made of the relationship between the published rates
of return (24-monthly and 36-monthly since 2004) for each fund and the number of new
members of the various pension funds, the number of people who have left the pension
funds, the increase in the number of members of the OFE and a fixed number of members
of pension funds. The study used a Pearson correlation ratio.
Zdzisław Kes, Łukasz Kuźmiński
Use of Control Cards in Budgeting
The paper outlines the problems of monitoring the implementation of budgets with
particular emphasis on methods of determining the control limits for the deviations. The
theoretical part describes the different concepts of grid control and the evaluation of their
492
Summaries
usefulness for the research problem. The practical part was calculated and plotted against the selected cards for the figures. Data used represent monthly deviations from the
absolute and relative costs in the budget including the cost of manufacturing and service
companies.
Patrycja Kowalczyk-Rólczyńska
An Analysis of the Polish Home Mortgage Loan Market
The market for home loans has developed in recent years. The quantity of bank products for the real estate market has increased for the past ten years. The credit policy has
sharpened for the last few years. The financial situation of potential borrowers has influenced the real estate market. Prices of housing real estate decreased. Important factors
influencing the real estate market are: unemployment, running costs of real estate, and
monthly average remuneration.
The aims of the article are: analysis of the Polish market of home loans and the analysis of factors influence on that market.
Paweł Kufel
The Comparison of Non-linear Econometric Models on the Basis
of Validity Tests of Forecasts
This paper refers to the comparison of models based on different analytical forms (linear and non-linear). All models are built using the dynamic congruent modeling concept.
Models are compare by the forecast errors. Differences of forecast errors are calculated
using the Diebold-Mariano test. Analysis is based on Monte Carlo simulations.
Tadeusz Kufel
Effectiveness of Congruent Specification for Small Samples
The congruent Specification procedure ensures that the residual process of estimated
model (GUM) has white noise properties. The aim of this paper is the presentation of automatic specification based on the dynamic congruent modeling concept available in the
GRETL package. An empirical example presents different aspects of reducing the sample
from 120 observations to 24 observations.
Summaries
493
Paweł Kuśmierczyk
The Experimental Studies of Optimality and Efficiency of the Selected
Non-standard Auction Mechanisms in Case of Price-only Procurement Auctions
The paper describes and analyzes some non-standard auction mechanisms, which are
sometimes applied in the practice of price-only procurement auctions. Among them are
the first-price sealed-bid auction with additional negotiations and a non-binding sealed-bid
auction. The analyses of optimality and efficiency are based on the results of the laboratory experiments.
Wiesław Łuczyński
Fractal Nature of Economic Processes
The analysis of Hurst exponents revealed the differences of the fractal dimensions of
the time series of economic processes in Germany over the period of 1947-2010. Wavelet
analysis established the breakpoints in the dynamics of the examined time series. The
Hurst exponents change together with the change in the dynamics of the time series. For
all the series (and for their sub-periods) their harmonic structure was established, using the
method of spectral analysis. It enables the reconstruction, by use of the Packard-Takens
method, of the phase portraits of time series. These portraits indicate that the economic
processes are the configuration of non-linear chaotic systems.
Łukasz Mach
Construction of Practical Regression Models Describing Dependencies
in the Real-estate Market
This article presents the process of decision-making econometric model construction
which parameterises dependencies on the real-estate market. The developed decision-making model is based on the application of multiple regression. The main criterion while
choosing an appropriate regression model is the verification of construction correctness
and usefulness in practical applications. Moreover, two final decision-making models
have been developed. The first model includes real-estate offer data, whereas the second
model includes flats transaction data. The application of the aforementioned analytical
method is a basis for decision-making construction, whose aim is to support companies
operating in the construction industry in the processes of decisions making.
494
Summaries
Katarzyna Maruszewska
The Application of Correspondence Analysis in Research on Determinants
of Migration in Poland
Correspondence analysis is an exploratory and descriptive technique designed to analyze some measure of correspondence between categorical variables. The results provide
information on the structure of relationships between variables organized into two-way
and multi-way cross-tabulation tables of frequencies. The paper presents simple Correspondence Analysis (CA) and Multiple Correspondence Analysis (MCA) as methods for
identifying the factors which influence migration decisions in Poland and analyzing its
spatial differentiation.
Aldona Migała-Warchoł
Geographical Diversification of Quality of Life and Level of Living Standards
of the Inhabitants of Podkarpackie Voivodeship
The main subject of researches is the evaluation of the level of living standards and
quality of life and its geographical diversification in Podkarpackie Voivodeship. Findings
were obtained using data from the Regional Data Bank of the Central Statistical Office and
the Statistical Yearbook of the Regions – Poland 2006. However quality of life was worked out using poll research, which was carried in 2006 by the method of direct interviews
in the field of districts of Podkarpackie Voivodeship. The synthetic level of living indicator
and synthetic quality of life indicator will be presented. The calculation of both indicators
will allow the placing of the administrative districts in Podkarpackie Voivodeship in order
and then the classification of the similar objects. Showing the results obtained will allow
the evaluation of the geographical diversification of the level of living standards and quality of life in Podkarpackie Voivodeship.
Piotr Peternek
Some Remarks on Testing Pearson’s Correlation Coefficient
The paper presents the problem of the interpretation of the significance of the results
of the test for Pearson’s correlation coefficient in conjunction with the regression model. It
will be shown that the test is considerably sensitive on the sample size. In this context, the
author presents an alternative method of testing and recommends another significant test to
achieve the correct interpretation of the results of the test for the correlation coefficient.
Summaries
495
Zygmunt Przybycin
Investment Projects and Risk Management
Investments are the main way of building a company’s competitive position in the
market. Each investment, including material investments, carries a risk. Rational risk
management of an investment determines its economic efficiency. Risk management can
take place at the stage of planning the investment. This is possible thanks to the models of
assessment of the efficiency of investment projects. In the article the models of the assessment of investment projects are presented in the context of risk management.
Jerzy Rembeza, Aneta Kłodzińska
Modeling the Term Structure of Interest Rates
The article deals with modeling the term structure of interest rates. Three estimation
methods of yield curve – spline functions, the Nelson-Siegel method and the Svensson
method and, for the estimation of interest rates, dynamic models such as: the Vasicek model, CIR model, Brennan-Schwartz model and CEV model have been presented.
Tomasz Rólczyński
An Attempt to Identify the Risk Connected
with Investment Decisions Taken by Individuals
Each entity which operates in the economy is at risk. Financial institutions which make
transactions on the financial market can often identify and assess risks associated with activities and manage them. The situation is otherwise for individuals, because they are not
specialized in risk assessment and are not always able to correctly identify all of its forms.
Zofia Rusnak
Measurement of Poverty and Social Exclusion – Methodological Problems
This paper presents methodological problems, divergences and controversies which
occur when the assessment of poverty or the social exclusion sphere is made. These diffe-
496
Summaries
rences are illustrated by data concerning the basic indicators that are characteristic for the
Polish aspect of both phenomena. The data is taken from official statistics published by
EURO-STAT and the Polish CSO.
Jerzy Sacała
Butterfly Effect – Be Careful With the Computer
The article contains a couple of interesting (according to the author) examples of
mistakes in numerical calculations. Mistakes of this kind occur in simple calculations
even if professional programs like Matlab or Excel are used. The author suggest that it is
necessary to inform students about this in order to convince them that Mathematics is a lot
more than computer calculations.
Paweł Siarka
Application of Wald-Wolfowitz Test in the Credit Risk Management Process
In the article the author focuses on the issue of credit risk which appears in the early
stages of the life of loans. The author analyzes the defaults incurred during the first two
installments. In addition to the description of the importance of risk control of early losses
in the credit risk management process, the author presents a method of assessing this risk.
He also presents a practical example of the use of the Wald-Wolfowitz test in the context
of credit risk management process. This example shows the practical use of statistical tests
in the process of the minimalization of the risks of early losses.
Katarzyna Sokołowska
Analysis of the Impact of Income and Socio-demographic Characteristics
on Satisfaction with Life in Polish Society
This paper presents empirical research into the impact of income on individual life
satisfaction. The influence of personal income, the impact of the income of a reference
group and the impact of the size of individual income on providing a prosperous life and
income sufficient to meet the basic needs of individual well-being is examined. The work
also includes a comparison of the results obtained with the results in article [Ferrer-i-Carbonell, 2005], referring to the German people, and with those obtained in other articles
Summaries
497
on SWB. The analysis was conducted with the application of an ordered logit model. The
data used in the study comes from the Survey Center for Public Opinion Research “The
conditions of life of Polish society – problems and strategies” project on a representative
random-address sample of adult Polish population, N = 38,866 in the period September-November 2007.
Andrzej Stryjek
Utility of Copula in Finance and Insurance
A commonly used measure of dependence between two random variables is the linear
correlation coefficient which is a good measure of dependence in the class of elliptical
distributions. The dependence among variables used in financial and insurance models is
very often nonlinear. One of the possibilities of expressing such correlation is copula function. This paper describes what copula is and shows two different models based on copulas
(models of collateralized debt obligations risk estimation and Value at Risk estimation).
The author presents some recent results from the literature of the subject and points out
that new regulations of risk management (Basel II, Solvency II) encourage the search for
better solutions of modeling the dependence of random variables.
Agata Strzelczyk
The Ways of Measuring the Quantity and Value of Information
Information has nowadays a special meaning both in economic, social, political
and scientific life. The article takes the subject of measuring information. It presents the
general concept of information and shows the ways of measuring quantity and value of
information.
Dominika Tomaszewska
Risk Modeling in Heterogenous Portfolios
This article describes a problem of the heterogeneity of insurance portfolios. The main
goal of this work is to present an application of probabilistic models taking into account
the uncertainty of parameters.
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Summaries
Because there is no homogenous definition of risk in Insurance Theory, the first part
of the article contains a few definitions of risk. Those definitions are used for further consideration within the article that focuses on mixed models and the Bayes model and the
application of those models in Insurance Risk Theory.
Justyna Zygmunt
The Analysis of the Influence of External Financing on a Company’s
Investment Activity
The article underlines the issues related to the recognition of the essence of the influence between external financing and a company’s investment activity. It provides the main
conclusions from the economic literature survey related to the influence in question. The
pecking order theory was the principle used to make a hypothesis concerning the significance of factors referring to external financing and investment activity. On the basis of
empirical researches the sensitivity of investment activities to external financing in Polish
quoted industrial companies were identified.